Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0246 |
| Annualized Std Dev | 0.1940 |
| Annualized Sharpe (Rf=0%) | -0.1266 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3806.0000 |
| NAs | 1.0000 |
| Minimum | -0.0778 |
| Quartile 1 | -0.0063 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0065 |
| Maximum | 0.0687 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | -0.3377 |
| Kurtosis | 2.8936 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0089 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.7739 |
| Historical VaR (95%) | -0.0195 |
| Historical ES (95%) | -0.0295 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0331 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-03 | 2020-04-27 | NA | -0.7739 | 3201 | 2974 | NA |
| 2006-05-12 | 2007-01-18 | 2007-09-19 | -0.1607 | 341 | 172 | 169 |
| 2008-03-14 | 2008-03-20 | 2008-04-16 | -0.1001 | 23 | 5 | 18 |
| 2006-02-06 | 2006-02-15 | 2006-04-06 | -0.0894 | 43 | 8 | 35 |
| 2008-05-22 | 2008-06-04 | 2008-06-09 | -0.0668 | 12 | 9 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | -0.2 | -0.7 | 1.1 | -1.2 | 0.4 | 0.5 | -0.2 | 0.3 | 1.3 | 0 | 0.4 | 1.5 |
| 2007 | -0.4 | -1 | -1.5 | 0.2 | 0.7 | -0.1 | -0.2 | 0 | -1 | -1.3 | -1.2 | 0.1 | -5.4 |
| 2008 | -1.8 | -1.6 | -0.6 | -2.3 | 0.7 | 1.8 | -1.1 | -0.4 | -2.3 | 1.1 | -3.1 | 4.2 | -5.5 |
| 2009 | -0.6 | -1.2 | -0.3 | 3 | 2.8 | -0.4 | 2 | -1.5 | -0.6 | -2.5 | 0.7 | -0.3 | 0.9 |
| 2010 | 2.4 | -1 | 2 | 0.8 | -1.9 | -1.5 | 1.3 | 2 | 0.2 | 0.6 | 3 | 1.9 | 10 |
| 2011 | 0.7 | 1.5 | 0.7 | 1 | -1.3 | 0.1 | 0 | -0.7 | -3.4 | -1.2 | -0.4 | -0.1 | -3.1 |
| 2012 | 0.3 | 1.6 | 1.1 | 0 | -2.1 | 4.3 | 0.1 | 1.1 | 0.1 | 0.2 | 0.1 | 0.5 | 7.6 |
| 2013 | 0.4 | -0.7 | 0 | -1.8 | -1.2 | 0.6 | 0.2 | -0.3 | -0.7 | -1.2 | 0 | -0.2 | -4.7 |
| 2014 | -0.1 | 0.3 | -1.2 | -0.8 | -0.8 | -0.3 | -0.8 | 0.2 | -0.3 | -0.1 | 2.1 | -0.8 | -2.6 |
| 2015 | 2.4 | 1.1 | 1.8 | -0.1 | -0.2 | -1.2 | -1.4 | -3.3 | -0.7 | 1 | 1.1 | 0.5 | 0.9 |
| 2016 | -1.9 | 0.1 | -1.7 | 1 | 1 | 1.2 | -1.8 | -1.1 | 0.3 | 0.5 | 1.8 | 0.2 | -0.4 |
| 2017 | 1.1 | 0.4 | 0.2 | 0.2 | -0.7 | 2 | -1.1 | 0.1 | -0.5 | 0.1 | 0.9 | 0.3 | 3 |
| 2018 | 1 | 0.2 | 0.9 | -0.6 | -0.7 | 1.1 | -1.4 | 0.1 | 1.9 | -0.7 | -0.5 | 0.3 | 1.6 |
| 2019 | 0.9 | -1.1 | 0.9 | -0.3 | -2.6 | -0.1 | -2.8 | -1.6 | -0.1 | 1.8 | -2 | -0.6 | -7.4 |
| 2020 | -0.8 | -1.7 | -2.8 | -1.3 | 0.6 | 0.8 | 0.5 | 0.1 | -1.2 | 0 | -0.3 | 0.4 | -5.6 |
| 2021 | 1.9 | -0.8 | 2.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-02-03 24.5 SPY 126. -0.005 -0.0177 -0.0081 0.0371 0.0614 0.479 -0.0756 GLD 56.5 -0.0084 0.0156
2 2006-02-06 24.2 SPY 127. 0.0026 -0.0143 -0.0061 0.0354 0.053 0.492 -0.0813 GLD 56.7 0.0039 0.0007
3 2006-02-07 23.5 SPY 125. -0.0088 -0.0158 -0.023 0.0276 0.0451 0.486 -0.0842 GLD 54.6 -0.0374 -0.037
4 2006-02-08 23.4 SPY 127. 0.0091 -0.0138 -0.0167 0.0359 0.0533 0.518 -0.082 GLD 54.8 0.0042 -0.033
5 2006-02-09 23.6 SPY 126. -0.0017 -0.0039 -0.0193 0.0342 0.0595 0.505 -0.0622 GLD 56.2 0.0246 -0.014
6 2006-02-10 23.2 SPY 127. 0.0018 0.00290 -0.0206 0.0347 0.0576 0.518 -0.0674 GLD 54.8 -0.0247 -0.0303
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
